{"id":3164,"date":"2022-04-06T09:31:33","date_gmt":"2022-04-06T09:31:33","guid":{"rendered":"https:\/\/ricovictor.com\/?p=3164"},"modified":"2026-01-29T21:43:31","modified_gmt":"2026-01-29T21:43:31","slug":"var-estructural-svar-en-rstudio","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2022\/04\/06\/var-estructural-svar-en-rstudio\/","title":{"rendered":"VAR Estructural (SVAR) en Rstudio"},"content":{"rendered":"\n<p>Los Modelos<strong> VAR estructural(SVAR)<\/strong> son una variaci\u00f3n de los <a href=\"https:\/\/ricovictor.com\/index.php\/2022\/03\/29\/vectores-autoregresivosvar-en-rstudio\/\">VAR Reducidos<\/a>. Se puede usar un modelo SVAR para identificar choques y rastrearlos mediante la imposici\u00f3n de restricciones en las matrices A y B. Dependiendo se imponemos restricciones en las matriz A o B llamaremos al modelo SVAR-A o SVAR \u2013B.<\/p>\n\n\n\n<p>En este tutorial veremos como aplicar este tipo de modelos econom\u00e9tricos en Rstudio<\/p>\n\n\n\n<figure class=\"wp-block-embed is-type-video is-provider-youtube wp-block-embed-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<div class=\"ast-oembed-container \" style=\"height: 100%;\"><iframe loading=\"lazy\" title=\"VAR Estructural (SVAR)  en Rstudio. |Simulaci\u00f3n con sVAR\" width=\"500\" height=\"281\" src=\"https:\/\/www.youtube.com\/embed\/0m_EsfFGwyo?feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" allowfullscreen><\/iframe><\/div>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>C\u00d3DIGO R DEL VIDEO\n\n#SVAR: A-model\r\n\r\n\r\n\r\n#install.packages(\"quantmod\")\r\nlibrary(quantmod)\r\n#install.packages(\"tseries\")\r\nlibrary(tseries)\r\n#install.packages(\"fImport\")\r\nlibrary(fImport)\r\n\r\n#\u2660Paquetes necesarios\r\n\r\ninstall.packages(\"dse\")\r\nlibrary ( dse) \r\ninstall.packages(\"vars\")\r\nlibrary ( vars ) \r\n\r\n\r\n#PASOS A SEGUIR\r\n\r\n\r\n#1. Establecer el lag polinomial A(L)\r\n\r\n#2. Fijamos la  matriz identidad\r\n\r\n#3 creamos un modelo VAR 2 con ARMA y los datos anteriores\r\n\r\n#4 simulanos \"x\" valores con el modelo\r\n\r\n\r\n#5 SACAMOS LAS SERIES GENERADAS Y HACEMOS EL MODELO CON A INCOGNITA\r\n\r\n#6 ## Estimacion modelo SVAR-A  \r\n\r\n\r\n\r\n\r\n\r\n\r\n#1. Establecer el lag polinomial A(L)\r\n\r\nApoly &lt;- array (c(1.0 , -0.5, 0.3 , 0.8 , \r\n                   0.2 , 0.1 , -0.7, -0.2, \r\n                   0.7 , 1, 0.5 , -0.3) , \r\n                 c (3 , 2, 2) )\r\n\r\nApoly\r\n\r\n#2.Fijamos la  matriz identidad\r\n\r\nB &lt;- diag(2)\r\nB\r\n\r\n\r\n#3 creamos un modelo VAR 2 con ARMA y los datos anteriores\r\n\r\nsvarA &lt;- ARMA(A = Apoly , B = B)\r\nsvarA\r\n\r\n#4 simulanos \"x\" valores con el modelo\r\n\r\nsvarsim &lt;- simulate ( svarA , sampleT = 500, \r\n                      rng = list ( seed = c(123456) ) )\r\nsvarsim\r\n\r\n\r\n##5. OBTENEMOS LA SERIES GENERADAS\r\n\r\nsvardat &lt;- matrix ( svarsim$output , nrow = 500 , ncol = 2) \r\ncolnames(svardat) &lt;- c(\"y1\",\"y2\")\r\n\r\n# GRAFICO DE LAS SIMULACIONES \r\n\r\nplot.ts(svardat)\r\n\r\n\r\n\r\n## Estimaci\u00f3n VAR CON LOS DATOS SIMULADOS para comprobaci\u00f3n\r\n\r\nvarest &lt;- VAR(svardat , p = 2 , type = \"none\")\r\n\r\n?VAR\r\n\r\n\r\n# Fijamos la matriz A para el modelo\r\n\r\nAmat &lt;- diag(2) \r\n\r\nAmat &#91; 2 , 1] &lt;- NA \r\nAmat &#91; 1 , 2] &lt;- NA\r\n\r\n\r\n##6 Estimacion modelo SVAR-A  por minimizaci\u00f3n directa de max verosimi\r\n\r\nargs(SVAR)\r\n\r\nsvar.A &lt;- SVAR( varest , estmethod = \"direct\" ,\r\n                  Amat = Amat ,hessian = TRUE)\r\n\r\n\r\nsvar.A\r\n\r\n#direct = minimizaci\u00f3n directa del log maximaverosimilitud negativo\r\n#scorting= algoritmo propuesto por Amisano y Giannini(1997)\r\n\r\nsummary(svar.A)\r\n\r\n\r\n\r\n# MODELO B\r\n\r\nApoly &lt;- array (c(1.0 , -0.5, 0.3 , 0, 0.2 , 0.1 , 0, -0.2,\r\n                  0.7 , 1, 0.5 , -0.3),\r\n                c (3 , 2, 2))\r\nApoly\r\n\r\n\r\n## fijamos la covarianza matriz identidad\r\n\r\nB &lt;- diag(2)\r\n\r\nB&#91;2,1]&lt;- -0.8\r\n\r\n\r\n\r\n#creamos un modelo VAR 2\r\n\r\nsvarB &lt;- ARMA(A = Apoly , B = B)\r\nsvarB\r\n\r\n## Simulaciones\r\n\r\nsvarsim &lt;- simulate ( svarB , sampleT = 500,\r\n                        rng = list ( seed = c(123456) ) ) \r\n\r\n\r\nsvarsim\r\n\r\n\r\nsvardat &lt;- matrix ( svarsim$output , nrow = 500 , ncol = 2) \r\ncolnames(svardat) &lt;- c(\"y1\",\"y2\")\r\n\r\nplot.ts(svardat)\r\n\r\n\r\n#EStimaci\u00f3n s-VAR coon datos simulados\r\n\r\nvarest &lt;- VAR(svardat , p = 2 ,type=\"none\") \r\nvarest\r\n\r\n\r\n# Estimaci\u00f3n de SVAR B  por algoritmo scoring\r\n\r\nBmat &lt;- diag (2)\r\nBmat &#91; 2 , 1] &lt;- NA\r\n\r\nsvar.B &lt;- SVAR(varest, estmethod = \"scoring\" , \r\n                 Bmat =Bmat , max.iter = 200)\r\nsvar.B\r\n<\/code><\/pre>\n","protected":false},"excerpt":{"rendered":"<p>Los Modelos VAR estructural(SVAR) son una variaci\u00f3n de los VAR Reducidos. Se puede usar un modelo SVAR para identificar choques y rastrearlos mediante la imposici\u00f3n de restricciones en las matrices A y B. Dependiendo se imponemos restricciones en las matriz A o B llamaremos al modelo SVAR-A o SVAR \u2013B. En este tutorial veremos como &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2022\/04\/06\/var-estructural-svar-en-rstudio\/\"> <span class=\"screen-reader-text\">VAR Estructural (SVAR) en Rstudio<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":19,"featured_media":3166,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[2],"tags":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.6 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>VAR Estructural (SVAR) en Rstudio - V\u00edctor A. 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